CBOE Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	21
αARCH	0.1561	5.77***
βGARCH	0.6384	17.45***
γleverage	0.1205	4.33***
λ₁tau intercept	0.0426	1.90*
λ₂forecast adj.	0.1303	2.77***
λ₃tau persistence	0.8486	15.23***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1561	5.77***
β GARCH Volatility persistence	0.6384	17.45***
γ leverage Additional response to negative shocks	0.1205	4.33***
λ₁ tau intercept Baseline long-term coefficient	0.0426	1.90*
λ₂ forecast adj. Forecast performance sensitivity	0.1303	2.77***
λ₃ tau persistence Long-term factor persistence	0.8486	15.23***

V-Lab

Vietnam Ho Chi Minh Stock Index / VN-Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vietnam Ho Chi Minh Stock Index / VN-Index Analyses